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  • Search: subject:"Stochastic Hamilton–Jacobi–Bellman equation"
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Subject
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Game theory 2 Random horizon 2 Spieltheorie 2 Stochastic Bellman equation 2 Stochastic dynamic games 2 Stochastic game 2 Stochastic process 2 Stochastischer Prozess 2 Stochastisches Spiel 2 Actuarial mathematics 1 Analysis 1 Cooperative game 1 Dynamic game 1 Dynamic programming 1 Dynamische Optimierung 1 Dynamisches Spiel 1 Kooperatives Spiel 1 Markov chain 1 Markov-Kette 1 Mathematical analysis 1 Reinsurance 1 Risikomodell 1 Risk model 1 Rückversicherung 1 Stackelberg game 1 Stochastic Hamilton-Jacobi-Bellman equation 1 Stochastic Hamilton–Jacobi–Bellman equation 1 Versicherungsmathematik 1 backward stochastic differential equation 1 proportional reinsurance 1 stochastic Hamilton-Jacobi-Bellman equation 1 variance premium principle 1
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Undetermined 2
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Article 3
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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English 2 Undetermined 1
Author
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Lv, Chen 1 PETROSYAN, LEON A. 1 Petrosjan, Leon A. 1 Shen, Yang 1 YEUNG, DAVID W. K. 1 Yeung, David W. K. 1
Published in...
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Astin bulletin : the journal of the International Actuarial Association 1 International Game Theory Review (IGTR) 1 International game theory review 1
Source
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ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
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On a new paradigm of optimal reinsurance : a stochastic stackelberg differential game between an insurer and a reinsurer
Lv, Chen; Shen, Yang - In: Astin bulletin : the journal of the International … 48 (2018) 2, pp. 905-960
Persistent link: https://www.econbiz.de/10011875926
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SUBGAME CONSISTENT SOLUTION FOR COOPERATIVE STOCHASTIC DYNAMIC GAMES WITH RANDOM HORIZON
YEUNG, DAVID W. K.; PETROSYAN, LEON A. - In: International Game Theory Review (IGTR) 14 (2012) 02, pp. 1250012-1
In cooperative stochastic dynamic games a stringent condition — that of subgame consistency — is required for a dynamically stable cooperative solution. In particular, a cooperative solution is subgame consistent if an extension of the solution policy to a subgame starting at a later time...
Persistent link: https://www.econbiz.de/10011011334
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Subgame consistent solution for cooperative stochastic dynamic games with random horizon
Yeung, David W. K.; Petrosjan, Leon A. - In: International game theory review 14 (2012) 2, pp. 1-22
Persistent link: https://www.econbiz.de/10009709053
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